How to get the little 'modifier' menu see screenshot
That menu that shows the initial parameters appears only for newly created objects (it's kind of a constructor for your object).

Nonetheless, if you just created the object, closed the menu and immediately realized you wanted to change a parameter, you can adjust it by pressing F9: "Redo last". This won't create a new object but recall the construction menu where you can do adjustments.

If you have already moved the object, then this won't work, as the last operation is no longer the object creation.